Please do not open threads for questions like this, this forum does not work like that. Read before you post.
Those third-party CDs are crap. Don't waste any more money on them. The official mission packs (Scourge of Armagon, Dissolution of Eternity), Malice and Abyss of Pandemonium (now free) are good. Nothing else is worth a dime.
It is perfectly possible that those levels have no exits because they are just a rip-off.
Just download high rated levels from Quaddicted and you will get better than ANY of the commercial addons. :)
Don't use winquake, use Fitzquake: http://www.celephais.net/fitzquake/
Then just follow the instructions in each maps' readme. Or use the Quake Injector to get hooked.